Average implied volatility by strike distance from spot, SPY, May to June 2026
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-09, from Reg T Margin vs Portfolio Margin Explained.
| strike_vs_spot | avg_iv_pct | contract_volume |
|---|---|---|
| -20% | 36.7 | 215010 |
| -15% | 31.1 | 549607 |
| -10% | 25 | 1344752 |
| -5% | 19.4 | 5994700 |
| 0% | 15.2 | 5856394 |
| +5% | 12.8 | 1932248 |
| +10% | 13.8 | 270654 |
| +15% | 16.9 | 160736 |
| +20% | 20.1 | 90329 |
- Rows × columns
- 9 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
strike_vs_spot |
text | 9 distinct values (+10%, +15%, +20%…) | |
avg_iv_pct |
number | 12.8 to 36.7 | percent |
contract_volume |
number | 90,329 to 5,994,700 | count |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
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SELECT
concat(if(step > 0, '+', ''), toString(step), '%') AS strike_vs_spot,
round(avg(implied_volatility) * 100, 1) AS avg_iv_pct,
sum(volume) AS contract_volume
FROM
(
SELECT
implied_volatility,
volume,
toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 20)) * 5 AS step
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= '2026-05-01'
AND date < '2026-07-01'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND underlying_close > 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.205
)
GROUP BY step
ORDER BY step
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